EconPapers    
Economics at your fingertips  
 

The impact of COVID-19 on gold seasonality

Sónia R. Bentes, Mariya Gubareva and Tamara Teplova

Applied Economics, 2022, vol. 54, issue 40, 4700-4710

Abstract: This study investigates the impact of COVID-19 on the seasonality of gold returns by means of an asymmetric EGARCH model (Exponential GARCH). We find that the so-called ‘autumn effect’, or the traditional seasonal increase in gold returns in fall, vanishes and even shows a reverse pattern during the COVID-19 pandemic. We ascribe this phenomenon to the decaying demand for gold, which substantially decreased in the third quarter of 2020. In contrast, we find no evidence of seasonal effects in gold volatility, which is in line with earlier researches on this topic. Our results also confirm the positive asymmetric effect of gold volatility.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2022.2033681 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:54:y:2022:i:40:p:4700-4710

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2022.2033681

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2025-03-20
Handle: RePEc:taf:applec:v:54:y:2022:i:40:p:4700-4710